INSTITUTE OF MATHEMATICS · POLISH ACADEMY OF SCIENCES
BANACH CENTER
PUBLICATIONS
ISSN: 0137-6934(p) 1730-6299(e)
Volume 83
Advances in Mathematics of Finance
Editor: Łukasz Stettner
Preface
, 5
Constrained portfolio liquidation in a limit order book model
Aurélien Alfonsi, Antje Fruth, Alexander Schied
Banach Center Publ.
83
(2008), 9-25
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A stochastic overlapping generation model with a continuum of agents
Emmanuelle Augeraud-Véron, Delphine David
Banach Center Publ.
83
(2008), 27-36
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Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment
Rafael Company, Lucas Jódar, Enrique Ponsoda
Banach Center Publ.
83
(2008), 37-47
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Market completion using options
Mark Davis, Jan Obłój
Banach Center Publ.
83
(2008), 49-60
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A pension fund in the accumulation phase: a stochastic control approach
Salvatore Federico
Banach Center Publ.
83
(2008), 61-83
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Variational sensitivity analysis of parametric Markovian market models
Norbert Hilber, Christoph Schwab, Christoph Winter
Banach Center Publ.
83
(2008), 85-106
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Optimal stopping with advanced information flow: selected examples
Yaozhong Hu, Bernt Øksendal
Banach Center Publ.
83
(2008), 107-116
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Information, inflation, and interest
Lane P. Hughston, Andrea Macrina
Banach Center Publ.
83
(2008), 117-138
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Laplace transform identities for diffusions, with applications to rebates and barrier options
Hardy Hulley, Eckhard Platen
Banach Center Publ.
83
(2008), 139-157
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Pricing bonds and CDS in the model with rating migration induced by a Cox process
Jacek Jakubowski, Mariusz Niewęgłowski
Banach Center Publ.
83
(2008), 159-182
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Convergence of optimal strategies under proportional transaction costs
Rafał Kucharski
Banach Center Publ.
83
(2008), 183-193
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Risk minimizing strategies for a portfolio of interest-rate securities
Andrzej Palczewski
Banach Center Publ.
83
(2008), 195-212
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Local risk-minimization for multidimensional assets and payment streams
Martin Schweizer
Banach Center Publ.
83
(2008), 213-229
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Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs
Łukasz Stettner
Banach Center Publ.
83
(2008), 231-241
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Exponential martingales and CIR model
Wojciech Szatzschneider
Banach Center Publ.
83
(2008), 243-249
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(261.76 Kb)
